Defrost the squash puree in a microwave and place in a strainer to drain.
Cook the pasta in boiling salted water to al dente, 7 to 8 minutes.
Meanwhile, heat the EVOO in a large skillet over medium-high heat. Add the sausage to the skillet, crumble and brown. Add the garlic, onions and thyme and cook until tender, 5 to 6 minutes. Deglaze the pan with the white wine.
Preheat the broiler with a rack in the upper third of the oven.
Melt the butter in a medium sauce pot over medium heat. Whisk in the flour for 1 minute. Whisk in the milk and season with salt, pepper and nutmeg and thicken to coat a spoon. Stir in the butternut squash and bring the sauce back to a bubble and melt in the Cheddar.
Toss the pasta, sauce and sausage to combine. Top with the Pecorino Romano and parsley and broil to brown, 1 to 2 minutes. Serve with the Fennel and Celery Slaw.
Fennel and Celery Slaw:
Combine the honey, vinegar and shallot with the lemon juice and whisk in the EVOO. Add the parsley, celery and fennel and toss to coat and combine. Season with salt and pepper. Arrange on a platter and top with the toasted nuts.